public class ScheduleGenerator extends Object
Period
s.
ScheduleGenerator.Frequency
.
ScheduleGenerator.DaycountConvention
.BusinessdayCalendarInterface
Modifier and Type | Class and Description |
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static class |
ScheduleGenerator.DaycountConvention
Possible day count conventions supported by
ScheduleGenerator.DaycountConvention . |
static class |
ScheduleGenerator.Frequency
Possible frequencies supported by
ScheduleGenerator . |
static class |
ScheduleGenerator.ShortPeriodConvention
Possible stub period conventions supported.
|
Modifier and Type | Method and Description |
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static ScheduleInterface |
createScheduleFromConventions(Date referenceDate,
Date startDate,
Date maturityDate,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Schedule generation for given {referenceDate,startDate,maturityDate}.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
int spotOffsetDays,
String startOffsetString,
String maturityString,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
int spotOffsetDays,
String startOffsetString,
String maturityString,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays,
boolean isUseEndOfMonth)
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
LocalDate tradeDate,
int spotOffsetDays,
String startOffsetString,
String maturityString,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Simple schedule generation where startDate and maturityDate are calculated based on tradeDate, spotOffsetDays, startOffsetString and maturityString.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
LocalDate startDate,
LocalDate maturityDate,
ScheduleGenerator.Frequency frequency,
ScheduleGenerator.DaycountConvention daycountConvention,
ScheduleGenerator.ShortPeriodConvention shortPeriodConvention,
BusinessdayCalendarInterface.DateRollConvention dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Schedule generation for given {referenceDate,startDate,maturityDate}.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
LocalDate startDate,
LocalDate maturityDate,
ScheduleGenerator.Frequency frequency,
ScheduleGenerator.DaycountConvention daycountConvention,
ScheduleGenerator.ShortPeriodConvention shortPeriodConvention,
BusinessdayCalendarInterface.DateRollConvention dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays,
boolean isUseEndOfMonth)
Schedule generation for given {referenceDate,startDate,maturityDate}.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
LocalDate startDate,
LocalDate maturityDate,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Schedule generation for given {referenceDate,startDate,maturityDate}.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
LocalDate startDate,
String frequency,
double maturity,
String daycountConvention,
String shortPeriodConvention)
Deprecated.
Will be removed in version 2.3
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
LocalDate startDate,
String frequency,
double maturity,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Deprecated.
Will be removed in version 2.3
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
String startOffsetString,
String maturityString,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, startOffsetString and maturityString.
|
static ScheduleInterface |
createScheduleFromConventions(LocalDate referenceDate,
String futureCode,
String startOffsetString,
String maturityString,
String frequency,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendarInterface businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays)
Schedule generation with futureCodes (in the format DEC17).
|
public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, LocalDate maturityDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startDate
- The start date of the first period (unadjusted - adjustments take place during schedule generation).maturityDate
- The end date of the last period (unadjusted - adjustments take place during schedule generation).frequency
- The frequency.daycountConvention
- The daycount convention.shortPeriodConvention
- If short period exists, have it first or last.dateRollConvention
- Adjustment to be applied to the all dates.businessdayCalendar
- Businessday calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.isUseEndOfMonth
- If ShortPeriodConvention is LAST and startDate is an end of month date, all period will be adjusted to EOM. If ShortPeriodConvention is FIRST and maturityDate is an end of month date, all period will be adjusted to EOM.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, LocalDate maturityDate, ScheduleGenerator.Frequency frequency, ScheduleGenerator.DaycountConvention daycountConvention, ScheduleGenerator.ShortPeriodConvention shortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startDate
- The start date of the first period (unadjusted - adjustments take place during schedule generation).maturityDate
- The end date of the last period (unadjusted - adjustments take place during schedule generation).frequency
- The frequency.daycountConvention
- The daycount convention.shortPeriodConvention
- If short period exists, have it first or last.dateRollConvention
- Adjustment to be applied to the all dates.businessdayCalendar
- Businessday calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, LocalDate maturityDate, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startDate
- The start date of the first period (unadjusted - adjustments take place during schedule generation).maturityDate
- The end date of the last period (unadjusted - adjustments take place during schedule generation).frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Businessday calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(Date referenceDate, Date startDate, Date maturityDate, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startDate
- The start date of the first period (unadjusted - adjustments take place during schedule generation).maturityDate
- The end date of the last period (unadjusted - adjustments take place during schedule generation).frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Businessday calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, LocalDate tradeDate, int spotOffsetDays, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.tradeDate
- Base date for the schedule generation (used to build spot date).spotOffsetDays
- Number of business days to be added to the trade date to obtain the spot date.startOffsetString
- The start date as an offset from the spotDate (build from tradeDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.maturityString
- The end date of the last period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Business day calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, int spotOffsetDays, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays, boolean isUseEndOfMonth)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.spotOffsetDays
- Number of business days to be added to the reference date to obtain the spot date.startOffsetString
- The start date as an offset from the spotDate (build from tradeDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.maturityString
- The end date of the last period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Business day calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.isUseEndOfMonth
- If ShortPeriodConvention is LAST and startDate is an end of month date, all period will be adjusted to EOM. If ShortPeriodConvention is FIRST and maturityDate is an end of month date, all period will be adjusted to EOM.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, int spotOffsetDays, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.spotOffsetDays
- Number of business days to be added to the trade date to obtain the spot date.startOffsetString
- The start date as an offset from the spotDate (build from tradeDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.maturityString
- The end date of the last period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Business day calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startOffsetString
- The start date as an offset from the spotDate (build from tradeDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.maturityString
- The end date of the last period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Business day calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, String futureCode, String startOffsetString, String maturityString, String frequency, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.futureCode
- Future code in the format DEC17startOffsetString
- The start date as an offset from the spotDate (build from tradeDate and spotOffsetDays) entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.maturityString
- The end date of the last period entered as a code like 1D, 1W, 1M, 2M, 3M, 1Y, etc.frequency
- The frequency (as String).daycountConvention
- The daycount convention (as String).shortPeriodConvention
- If short period exists, have it first or last (as String).dateRollConvention
- Adjustment to be applied to the all dates (as String).businessdayCalendar
- Business day calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, String frequency, double maturity, String daycountConvention, String shortPeriodConvention, String dateRollConvention, BusinessdayCalendarInterface businessdayCalendar, int fixingOffsetDays, int paymentOffsetDays)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startDate
- The start date of the first period.frequency
- The frequency.maturity
- The end date of the last period.daycountConvention
- The daycount convention.shortPeriodConvention
- If short period exists, have it first or last.dateRollConvention
- Adjustment to be applied to the all dates.businessdayCalendar
- Businessday calendar (holiday calendar) to be used for date roll adjustment.fixingOffsetDays
- Number of business days to be added to period start to get the fixing date.paymentOffsetDays
- Number of business days to be added to period end to get the payment date.public static ScheduleInterface createScheduleFromConventions(LocalDate referenceDate, LocalDate startDate, String frequency, double maturity, String daycountConvention, String shortPeriodConvention)
referenceDate
- The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.startDate
- The start date of the first period.frequency
- The frequency.maturity
- The end date of the last period.daycountConvention
- The daycount convention.shortPeriodConvention
- If short period exists, have it first or last.Copyright © 2017. All rights reserved.